Previous Topic

Next Topic

oBAW_IX( ) - Barone-Adesi Whaley Implied Strike Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBAW_IX(CallPut, OptionValue, ValueDate, MaturityDate, Spot, Volatility RiskFree, NetCarry)

Uses the Newton-Raphson iteration procedure to calculate the implied strike price that equates the given market price of the option with the Barone-Adesi Whaley quadratic approximation of the option price. Returns the implied strike rate only.

 

Option Types

American options on Stocks, Stock Indices, Currencies and Futures.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CallPut

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

OptionValue

 

Current market price of the option.

 

Double

 

Option Value > 0

ValueDate

 

Valuation date of the option.

 

Date

 

ValDate < MatDate

MaturityDate

 

Maturity date of the option.

 

Date

 

MatDate > ValDate

Spot

 

Current market price of the underlying asset.

 

Double

 

Spot > 0

Volatility

 

Annualized volatility of the underlying asset, expressed as a decimal.

 

Double

 

Volatility > 0%

RiskFree

 

Risk free interest rate, entered as either a single rate (act/365) or as a user defined zero curve object.

 

Double or Curve

 

RiskFree >= 0%

NetCarry

 

The net cost of carry, entered as either a single rate or as a user defined rate curve object. See net cost of carry definitions for different option types.

 

Double or Curve

 

 

See Also

Parameter Types

oBAW( ) - Barone-Adesi Whaley Function

oBAW_IS( ) - Barone-Adesi Whaley Implied Spot Function

oBAW_IV( ) - Barone-Adesi Whaley Implied Volatility Function

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.